MoneyScience News |
- Meet the man who could own Aviva France | FT Alphaville
- Blog Post: TheFinancialServicesClub: The role of the bank branch in the digital age
- Published / Preprint: Comparing systemic risk in European government bonds and national indices. (arXiv:1502.07367v1 [q-fin.ST])
- Published / Preprint: Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments. (arXiv:1502.07397v1 [q-fin.MF])
- Published / Preprint: Dynamics of quasi-stationary systems: Finance as an example. (arXiv:1502.07522v1 [q-fin.ST])
- Published / Preprint: Well-Posedness and Comparison Principle for Option Pricing with Switching Liquidity. (arXiv:1502.07622v1 [q-fin.MF])
- Published / Preprint: Developing Knowledge States: Technology and the Enhancement of National Statistical Capacity. (arXiv:1502.07625v1 [q-fin.GN])
- Blog Post: iMFdirect: Fiscal Impact of Lower Oil Prices on Latin America and the Caribbean
- Blog Post: ThePracticalQuant: Topic Models: Past, Present, Future
- Published / Preprint: 26Feb/Quantitative disclosure standards for central counterparties issued by CPMI and IOSCO
- Published / Preprint: 26Feb/Implementation monitoring of the PFMI: Level 2 assessments for central counterparties and trade repositories in the European Union, Japan and the United States
- Published / Preprint: Model risk on credit risk. (arXiv:1502.06984v1 [q-fin.RM])
- Published / Preprint: Estimation of Several Political Action Effects of Energy Prices. (arXiv:1502.07265v1 [stat.AP])
- Published / Preprint: An Ordinal Pattern Approach to Detect and to Model Leverage Effects and Dependence Structures Between Financial Time Series. (arXiv:1502.07321v1 [q-fin.ST])
| Meet the man who could own Aviva France | FT Alphaville Posted: 27 Feb 2015 02:34 PM PST Max-Hervé George has a contract. It lets him turn back the clock, to invest with perfect hindsight week after week http://t.co/ismunK6sWJ — moneyscience… Visit MoneyScience for the Complete Article. |
| Blog Post: TheFinancialServicesClub: The role of the bank branch in the digital age Posted: 27 Feb 2015 01:07 AM PST I tweeted yesterday that bank branches are still important as, for many, digital only is too nerve wracking when it comes to money. I knew it would get some pushback, and it did, but here’s the logic and how this started.read more... Visit MoneyScience for the Complete Article. |
| Posted: 26 Feb 2015 05:36 PM PST It has been shown, that the systemic risk contained in financial markets can be indicated by the change of cross-correlation between different indices and stocks. This change is tracked by using principle component analysis (PCA). We use this technique to investigate the systemic risk contained in European economy by comparing government long term bonds and indices. Visit MoneyScience for the Complete Article. |
| Posted: 26 Feb 2015 05:36 PM PST We develop a multi-curve term structure setup in which the modelling ingredients are expressed by rational functionals of Markov processes. We calibrate to LIBOR swaptions data and show that a rational two-factor lognormal multi-curve model is sufficient to match market data with accuracy. We elucidate the relationship between the models developed and calibrated under a risk-neutral measure Q and... Visit MoneyScience for the Complete Article. |
| Posted: 26 Feb 2015 05:36 PM PST We propose a combination of cluster analysis and stochastic process analysis to characterize high-dimensional complex dynamical systems by few dominating variables. As an example, stock market data are analyzed for which the dynamical stability as well as transitions between different stable states are found. This combined method also allows to set up new criteria for merging clusters to simplify... Visit MoneyScience for the Complete Article. |
| Posted: 26 Feb 2015 05:36 PM PST We consider an integro-differential equation derived from a system of coupled parabolic PDE and an ODE which describes an European option pricing with liquidity shocks. We study the well-posedness and prove comparison principle for the corresponding initial value problem. Visit MoneyScience for the Complete Article. |
| Posted: 26 Feb 2015 05:36 PM PST National statistical systems are the enterprises tasked with collecting, validating and reporting societal attributes. These data serve many purposes - they allow governments to improve services, economic actors to traverse markets, and academics to assess social theories. National statistical systems vary in quality, especially in developing countries. This study examines determinants of... Visit MoneyScience for the Complete Article. |
| Blog Post: iMFdirect: Fiscal Impact of Lower Oil Prices on Latin America and the Caribbean Posted: 26 Feb 2015 08:16 AM PST By Robert Rennhack and Fabián Valenciaread more... Visit MoneyScience for the Complete Article. |
| Blog Post: ThePracticalQuant: Topic Models: Past, Present, Future Posted: 26 Feb 2015 07:57 AM PST Subscribe to the O’Reilly Data Show Podcastread more... Visit MoneyScience for the Complete Article. |
| Posted: 26 Feb 2015 07:05 AM PST Press release about CPMI and IOSCO issuing Quantitative disclosure standards for central counterparties (26 February 2015) Visit MoneyScience for the Complete Article. |
| Posted: 26 Feb 2015 07:05 AM PST Press release about CPMI and IOSCO issuing the Implementation monitoring of the PFMI: Level 2 assessments for central counterparties and trade repositories in the European Union, Japan and the United States Visit MoneyScience for the Complete Article. |
| Published / Preprint: Model risk on credit risk. (arXiv:1502.06984v1 [q-fin.RM]) Posted: 25 Feb 2015 05:36 PM PST This paper develops the Jungle model in a credit portfolio framework. The Jungle model is able to model credit contagion, produce doubly-peaked probability distributions for the total default loss and endogenously generate quasi phase transitions, potentially leading to systemic credit events which happen unexpectedly and without an underlying single cause. We show the Jungle model provides the... Visit MoneyScience for the Complete Article. |
| Posted: 25 Feb 2015 05:36 PM PST One important effect of price shocks in the United States has been increased political attention paid to the structure and performance of oil and natural gas markets, along with some governmental support for energy conservation. This paper describes how price changes helped lead the emergence of a political agenda accompanied by several interventions, as revealed through Granger causality tests... Visit MoneyScience for the Complete Article. |
| Posted: 25 Feb 2015 05:36 PM PST We introduce two types of ordinal pattern dependence between time series. Positive (resp. negative) ordinal pattern dependence can be seen as a non-paramatric and in particular non-linear counterpart to positive (resp. negative) correlation. We show in an explorative study that both types of this dependence show up in real world financial data. Visit MoneyScience for the Complete Article. |
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